有效证券市场的理性泡沫与股票内在价值的信息滤波  

Rational Bubble in Efficient Stock Markets and the Information Filter of Stock Value

作　　者：邹辉文[1] 

机构地区：[1]福州大学管理学院

出　　处：《系统工程理论与实践》2006年第4期32-43,共12页Systems Engineering-Theory & Practice

基　　金：中国博士后科学基金(2003034280);江西省自然科学基金(03yi10)

摘　　要：对有效证券市场上理性泡沫的产生条件、度量方法和形成原因进行了分析;并对我国股市的泡沫进行了相应的实证分析.在上述研究的基础上,探讨了与度量股市泡沫相反的问题,即如何从股票价格的波动中滤去泡沫从而识别出股票内在价值的信息.用Kalman滤波方法对股票内在价值进行信息滤波与预测.The producing conditions, measurement methods and forming reasons of the rational bubble in efficient stock markets were discussed. The corresponding empirical analysis for the bubbles in Chinese stock market was made. On the basis of the above studies, the problem reversed to the measurement of the bubbles in stock markets was discussed, i.e., how to distinguish stocks value from the stock prices with the bubbles filtered. The method of Kalman filter to filter and forecast the information of stocks value from the stock prices was first introduced.

关 键 词：股票内在价值 无套利定价 股市泡沫 Kalman信息滤波 

分 类 号：F830.9[经济管理—金融学] F832.48